Risk metrics

Per-sleeve realized risk since inception (2026-06-01). Sharpe, max drawdown, volatility, beta, alpha (Newey-West t-stat), downside vol, and information ratio versus SPY. All numbers annualized at 252 trading days.

As-of · inception · last build

Per-sleeve summary

Per-sleeve table

Rolling Sharpe (21-day window, annualized)

Drawdown curve

Methodology

How these numbers are computed

Annualization. Daily returns scaled by √ for vol-like quantities and by for mean-like quantities (252 US equity trading days).
Risk-free rate. ; current annualized rate . Sharpe uses excess-of-RF daily returns.
Sharpe. mean(r_excess) × / (std(r_excess) × √) = mean(r_excess) × √ / std(r_excess).
Max drawdown. Peak-to-trough on cumulative gross-of-tax / net-of-cost NAV; MDD date is the trough.
Beta / alpha vs SPY. OLS regression of daily sleeve excess return on daily SPY excess return.
Alpha t-stat (Newey-West). HAC standard errors with lags to absorb residual serial correlation and heteroskedasticity. Stars: * |t|≥1.65, ** |t|≥1.96, *** |t|≥2.58.
Downside vol. Annualized standard deviation of negative daily excess returns only (Sortino denominator).
Information ratio. mean(r_sleeve − r_SPY) × √ / std(r_sleeve − r_SPY).
Inception window. through . With short history, point estimates have wide confidence bands; rely on the Newey-West t-stat, not the Sharpe point estimate, when reading this page in the first few months.